From Hard Drop - Tetris Wiki

The next piece preview is a window that shows the next pieces. Nearly all falling block games are capable of showing a preview of the next piece to enter the playfield.
The next pieces are displayed in a window of the tetrion, generally positioned to the right of or above the playfield.

The game starts

O enters; J is next

Player drops O

J enters; next is T

Player drops J

T enters; next is Z

Some of the older games gave more points if the player chose to turn preview off.

Many Tetris games released since 1999, especially those adhering to some version of the Tetris Guideline, show three or more next pieces. Games with multiplayer features, such as Tetris Party/Tetris Party Deluxe, have a lower amount of piece previews in multiplayer due to limited space.